## Abstract The authors examine whether volatility risk is a priced risk factor in securities returns. Zeroβbeta atβtheβmoney straddle returns of the S&P 500 index are used to measure volatility risk. It is demonstrated that volatility risk captures time variation in the stochastic discount factor.
β¦ LIBER β¦
Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets
β Scribed by Kaeck, Andreas
- Book ID
- 120501683
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 523 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0165-1889
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